2. Securities Available for Sale and Securities Held to Maturity

The amortized cost, gross unrealized gains and losses, and fair value of securities available for sale and securities held to maturity are as follows:


			Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
June 30, 2013	Cost		Gains		Losses		Value
Securities available for sale:
U.S. agency mortgage-backed securities	$	18,422	$	202	$	16	$	18,608
Asset-backed securities		11,895		21		77		11,839
Corporate debt securities		8,306		39		26		8,319
Certificates of deposit		4,915		7		1		4,921
U.S. agency notes		3,740		-		105		3,635
Non-agency residential mortgage-backed securities		700		5		54		651
Commercial paper		160		-		-		160
Other securities		272		9		-		281
Total securities available for sale	$	48,410	$	283	$	279	$	48,414
Securities held to maturity:
U.S. agency mortgage-backed securities	$	24,887	$	184	$	643	$	24,428
Other securities		931		-		71		860
Total securities held to maturity	$	25,818	$	184	$	714	$	25,288


			Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
December 31, 2012	Cost		Gains		Losses		Value
Securities available for sale:
U.S. agency mortgage-backed securities	$	20,080	$	396	$	-	$	20,476
Asset-backed securities		8,104		62		2		8,164
Corporate debt securities		6,197		61		2		6,256
Certificates of deposit		6,150		12		1		6,161
U.S. agency notes		3,465		2		3		3,464
Non-agency residential mortgage-backed securities		796		2		65		733
Commercial paper		574		-		-		574
Other securities		278		17		-		295
Total securities available for sale	$	45,644	$	552	$	73	$	46,123
Securities held to maturity:
U.S. agency mortgage-backed securities	$	17,750	$	558	$	19	$	18,289
Other securities		444		-		1		443
Total securities held to maturity	$	18,194	$	558	$	20	$	18,732

A summary of securities with unrealized losses, aggregated by category and period of continuous unrealized loss, is as follows:


	Less than				12 months
	12 months				or longer				Total
	Fair		Unrealized		Fair		Unrealized		Fair		Unrealized
June 30, 2013	Value		Losses		Value		Losses		Value		Losses
Securities available for sale:
U.S agency mortgage-backed securities	$	2,416	$	16	$	-	$	-	$	2,416	$	16
Asset-backed securities		8,704		70		481		7		9,185		77
Corporate debt securities		2,555		25		250		1		2,805		26
Certificates of deposit		774		1		-		-		774		1
U.S. agency notes		3,635		105		-		-		3,635		105
Non-agency residential mortgage-backed
securities		181		5		401		49		582		54
Total	$	18,265	$	222	$	1,132	$	57	$	19,397	$	279
Securities held to maturity:
U.S. agency mortgage-backed securities	$	16,315	$	643	$	-	$	-	$	16,315	$	643
Other securities		760		71		-		-		760		71
Total	$	17,075	$	714	$	-	$	-	$	17,075	$	714
Total securities with unrealized losses ⁽¹⁾	$	35,340	$	936	$	1,132	$	57	$	36,472	$	993

⁽¹⁾	The number of investment positions with unrealized losses totaled 238 for securities available for sale and 135 for securities held to maturity.


	Less than				12 months
	12 months				or longer				Total
	Fair		Unrealized		Fair		Unrealized		Fair		Unrealized
December 31, 2012	Value		Losses		Value		Losses		Value		Losses
Securities available for sale:
Asset-backed securities	$	-	$	-	$	801	$	2	$	801	$	2
Corporate debt securities		878		2		-		-		878		2
Certificates of deposit		599		1		-		-		599		1
U.S. agency notes		2,102		3		-		-		2,102		3
Non-agency residential mortgage-backed
securities		46		1		549		64		595		65
Total	$	3,625	$	7	$	1,350	$	66	$	4,975	$	73
Securities held to maturity:
U.S. agency mortgage-backed
securities	$	2,680	$	19	$	-	$	-	$	2,680	$	19
Other securities		240		1		-		-		240		1
Total	$	2,920	$	20	$	-	$	-	$	2,920	$	20
Total securities with unrealized losses ⁽¹⁾	$	6,545	$	27	$	1,350	$	66	$	7,895	$	93

⁽¹⁾	The number of investment positions with unrealized losses totaled 139 for securities available for sale and 24 for securities held to maturity.

Non-agency residential mortgage-backed securities include securities collateralized by loans that are considered to be “Prime” (defined as loans to borrowers with a Fair Isaac Corporation (FICO) credit score of 620 or higher at origination), and “Alt-A” (defined as Prime loans with reduced documentation at origination). Based on the Company’s cash flow projections, management determined that it does not expect to recover all of the amortized cost of certain of its Alt-A and Prime residential mortgage-backed securities and therefore determined that these securities were other-than-temporarily impaired (OTTI). Because the Company does not intend to sell these securities and it is not “more likely than not” that the Company will be required to sell these securities, the Company recognized an impairment charge equal to the securities’ expected credit losses of $3 million and $7 million during the second quarter and first half of 2013, respectively. The expected credit losses were measured as the difference between the present value of expected cash flows and the amortized cost of the securities. Further deterioration in the performance of the underlying loans in the Company’s non-agency residential mortgage-backed securities portfolio could result in the recognition of additional impairment losses.

The following table is a rollforward of the amount of credit losses recognized in earnings for OTTI securities held by the Company during the period for which a portion of the impairment was recognized in or reclassified from other comprehensive (loss) income:


	Three Months Ended				Six Months Ended
	June 30,				June 30,
	2013		2012		2013		2012
Balance at beginning of period	$	163	$	145	$	159	$	127
Credit losses recognized into current period earnings on debt securities for
which an other-than-temporary impairment was not previously recognized		1		4		1		5
Credit losses recognized into current period earnings on debt securities for
which an other-than-temporary impairment was previously recognized		2		3		6		20
Balance at end of period	$	166	$	152	$	166	$	152

The maturities of securities available for sale and securities held to maturity at June 30, 2013, are as follows:


			After 1 year		After 5 years
	Within		through		through		After
	1 year		5 years		10 years		10 years		Total
Securities available for sale:
U.S. agency mortgage-backed securities ⁽¹⁾	$	-	$	122	$	3,974	$	14,512	$	18,608
Asset-backed securities		-		856		1,060		9,923		11,839
Corporate debt securities		2,234		6,085		-		-		8,319
Certificates of deposit		3,028		1,893		-		-		4,921
U.S. agency notes		-		1,781		1,854		-		3,635
Non-agency residential mortgage-backed
securities ⁽¹⁾		-		2		3		646		651
Commercial paper		160		-		-		-		160
Other securities		-		-		-		281		281
Total fair value	$	5,422	$	10,739	$	6,891	$	25,362	$	48,414
Total amortized cost	$	5,412	$	10,773	$	6,888	$	25,337	$	48,410
Securities held to maturity:
U.S. agency mortgage-backed securities ⁽¹⁾	$	-	$	-	$	11,458	$	12,970	$	24,428
Other securities		-		100		334		426		860
Total fair value	$	-	$	100	$	11,792	$	13,396	$	25,288
Total amortized cost	$	-	$	100	$	12,219	$	13,499	$	25,818

⁽¹⁾	Mortgage-backed securities have been allocated to maturity groupings based on final contractual maturities. Actual maturities will differ from final contractual maturities because borrowers on a certain portion of loans underlying these securities have the right to prepay their obligations.

Proceeds and gross realized gains (losses) from sales of securities available for sale are as follows:


	Three Months Ended				Six Months Ended
	June 30,				June 30,
	2013		2012		2013		2012
Proceeds	$	3,004	$	1,073	$	3,004	$	1,323
Gross realized gains	$	3	$	2	$	3	$	2
Gross realized losses	$	-	$	-	$	-	$	-